ارتباط بین مواجهه با نرخ ارز، مدیریت ریسک ارز و عملکرد صندوق های سهام های بین المللی

This paper assesses the currency risk management policies for a sample of Australian international equity trusts. The relevance of currency risk management is considered in the context of exchange rate exposure and performance measures. The study incorporates differing economic climates and particular emphasis is given to the Asian crisis in mid-1997. Our results indicate that a good proportion of funds do implement specific currency risk management policies. Furthermore, we find that for those funds managing currency risk, there is some evidence of a favourable impact on currency exposure and fund performance.

International equity funds provide a convenient avenue for individual investors to access international markets. Hence, the assessment of fund performance and identification of factors influencing performance is very relevant to the investor. One issue, important in the evaluation of international funds, is the extent to which the fund is exposed to changes in exchange rates and the policies that are implemented in managing exchange rate risk. In this paper we report on a survey of fund managers that assessed the currency risk management policies implemented within the international equity fund sector. We take these results and consider the impact of the policies on the level of exchange rate exposure and performance evident in the fund returns. Our study focuses on the period 1995–2001 and therefore we compare results prior and subsequent to the Asian crisis of mid 1997 and consider periods of an appreciating and depreciating Australian dollar. Research on the consequence of risk management policies of funds is scarce. Koski and Pontiff (1999) investigated the use of share derivatives within equity mutual funds. They found derivative users and non-users had similar return distributions and risk exposures. Geczy et al. (1997) and Tufano (1996) assessed derivative use in other industries. Our study focuses on currency derivatives. The apparent diversity of policies within international equity funds leads us to question if risk management has a material impact on their performance. It is possible to assess this impact by comparing policy information with exchange rate sensitivity and performance measures. Exchange rate sensitivity is a term describing the link between the change in the value of a portfolio and changes in exchange rates. The value of a fund portfolio may be directly affected as a result of a depreciation (appreciation) in the home currency relative to the invested country's currency whereby the fund price would increase (decrease). There are however, a number of indirect effects that induce change in the underlying value of the fund portfolio as a result of exchange rate exposure incurred by individual firms comprising the portfolio. The exposure to the firms may be due to adjustments in export sales, cost of inputs or organisational competitiveness following a currency depreciation or appreciation. Transaction exposure may also affect a firm's cash flow where, for example, dividend income is received in a foreign currency or contracts are executed in a foreign currency. Numerous studies have examined the exchange rate exposure of individual corporations and industry portfolios and generally they have found some evidence of exposure (see for example Jorion, 1990 and Loudon, 1993). Research on the exchange rate exposure of equity funds is limited. Previous research (Benson and Faff, 2003) has indicated that the returns of Australian international equity funds reflect varying degrees of exchange rate exposure. We now seek to assess the relationship between this exposure and currency risk management policies. Additionally, we assess the relationship between the performance of the funds and the currency risk management policies. There are a number of studies analysing international investment fund performance. Selectivity and timing performance have been assessed by Cumby and Glen (1990), Eun et al. (1991), Droms and Walker (1994). These studies implemented models from Jensen (1968), Treynor and Mazuy (1966) and/or Henriksson and Merton (1981). Kao et al. (1998) and Gallo and Swanson (1996) also implemented a two factor international APT model. The results indicated that generally funds are unable to outperform the market index. At an individual level some funds did display selectivity and timing abilities. In the current study we apply the Treynor and Mazuy and Henriksson and Merton models to assess selectivity performance. We then analyse these results in light of the currency risk management policies identified from a questionnaire survey. The extent to which the fund manager can control the effect of indirect exchange rate exposure on the fund is limited to the level of diversification and asset selection within the fund's portfolio. Direct exposure can be controlled through the implementation of currency risk management polices, either by diversification across various country investments or by taking a position with currency derivatives. We assess the effects of the currency risk management policies and expect that those managers who do specifically manage risk are able to decrease their exposure and hence enhance the performance of the fund. We also consider the possibility that funds may invest in currency derivatives for speculative purposes and consider the effect of these policies on currency exposure and performance. It is feasible that the effects of the indirect exposure may negate any benefits gained by managers in controlling direct exposure. While we cannot separate the effects of indirect exposure, the results of our study still provide evidence as to the benefits of currency risk management. This results in potentially important information to fund managers and investors. Our study is limited to the use of currency risk management policies and in particular currency derivatives. We do not consider the effects of investment in share derivatives. The remainder of the paper is organised as follows. In the next section we outline the data and sample, while in Section 3 the research method is detailed. Section 4 presents and analyses the research findings, followed by a conclusion in Section 5.

In this paper we focus on two related research questions: To what extent are international funds exposed to exchange rate risk? More importantly, to what extent do FX risk management policies affect the exchange rate exposure and performance of these funds? To help answer these questions, we report on a survey of fund managers that assessed the currency risk management policies implemented within the Australian international equity fund sector. Our study focuses on the period 1995–2001 and therefore we compare results prior and subsequent to the Asian crisis of mid-1997. Our key findings can be divided into three sections. The first section focuses on the questionnaire results and we have four key findings. First, our analysis suggests that many international equity fund managers do specifically manage currency risk. Second, within our sample the most common risk management techniques are forward contracts and options, although the proportion of the portfolio that is invested in derivatives is relatively low. Third, many funds maintained the same policies over the five-year period. Fourth, we found derivatives were used mainly to hedge the portfolio. The second section of key findings relates to the assessment of exchange rate exposure and performance. Specifically, we find that there is significant exchange rate exposure for a number of funds and this is not consistent with a ‘perfect’ hedging strategy. We also find the exposure varies between periods and that managers are often able to attain a direction and level of exposure consistent with a positive outcome on returns. The final section of key findings focuses on the relationships between risk management policies and the exchange rate exposure of funds and between risk management policies and fund performance. We have three key findings in this section. First, the implementation of currency risk management does seem to impact on exchange rate exposure. In particular, when exposure is estimated using bilateral exchange rates there are some significant variations between the group of funds that do manage currency risk and the group that does not manage currency risk. Additionally, conditioning exposure on appreciating and depreciating exchange rates reveals variations in the two groups, as does the division of the timeframe between pre- and post-Asian crisis. Second, the type of risk management medium selected can also affect exposure. Diversification of shares and the use of forward contracts are the techniques that have the most impact on (reducing) exposure. Third, there is evidence that implementing FX risk management policies will enhance the measured (selectivity) abnormal performance of international funds. Specifically, diversification of shares and the use of forwards positively impacts on abnormal performance and it is hedging more than speculation that results in improved performance.